A class of infinite dimensional stochastic processes with unbounded diffusion and its associated Dirichlet forms
2015 (English)Doctoral thesis, comprehensive summary (Other academic)
This thesis consists of two papers which focuses on a particular diffusion type Dirichlet form
where Here is the basis in the Cameron-Martin space, H, consisting of the Schauder functions, and ν denotes the Wiener measure.
In Paper I, we let vary over the space of wiener trajectories in a way that the diffusion operator A is almost everywhere an unbounded operator on the Cameron–Martin space. In addition we put a weight function on theWiener measure and show that under these changes of the reference measure, the Malliavin derivative and divergence are closable operators with certain closable inverses. It is then shown that under certain conditions on , and these changes of reference measure, the Dirichlet form is quasi-regular. This is done first in the classical Wiener space and then the results are transferred to the Wiener space over a Riemannian manifold.
Paper II focuses on the case when is a sequence of non-decreasing real numbers. The process X associated to is then an infinite dimensional Ornstein-Uhlenbeck process. In this case we show that the distributions of a sequence of certain finite dimensional Ornstein-Uhlenbeck processes converge weakly to the distribution of the infinite dimensional Ornstein-Uhlenbeck process. We also investigate the quadratic variation for this process, both in the classical sense and in the recent framework of stochastic calculus via regularization. Since the process is Banach space valued, the tensor quadratic variation is an appropriate tool to establish the Itô formula for the infinite dimensional Ornstein-Uhlenbeck process X. Sufficient conditions are presented for the scalar as well as the tensor quadratic variation to exist.
Place, publisher, year, edition, pages
Linköping: Linköping University Electronic Press, 2015. , 34 p.
Linköping Studies in Science and Technology. Dissertations, ISSN 0345-7524 ; 1699
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:liu:diva-121636DOI: 10.3384/diss.diva-121636ISBN: 978-91-7685-966-7 (print)OAI: oai:DiVA.org:liu-121636DiVA: diva2:857512
2015-12-10, C3, C-huset, Campus Valla, Linköping, 13:30 (English)
Engelbert, Hans-Jürgen, Professor
Löbus, Jörg-Uwe, DocentErhardsson, Torkel, Dr.
List of papers